Causality and Contagion in EMU Sovereign Debt Markets

Marta Gómez-Puig () and Simon Sosvilla-Rivero

No 201403, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: This paper contributes to the literature by applying the Grangercausality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the aftermath of the current euro debt crisis.

Keywords: Sovereign bond yields; Granger-Causality; Contagion; Euro area. JEL classification: E44; F36; G15; C52 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2014-02, Revised 2014-02
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (54)

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http://www.ub.edu/irea/working_papers/2014/201403.pdf (application/pdf)

Related works:
Journal Article: Causality and contagion in EMU sovereign debt markets (2014)
Working Paper: Causality and Contagion in EMU Sovereign Debt Markets (2014)
Working Paper: Causality and contagion in EMU sovereign debt markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:201403

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